Title :
BDSDEs with Markov Chains and applications in Markovian-Switching LQ problems for backward doubly stochastic system
Author :
Tao Ran ; Wu Zhen
Author_Institution :
Sch. of Math., Shandong Univ., Jinan, China
Abstract :
In this paper, we introduce a new type of BDSDEs with Markov Chains. We also consider the backward doubly stochastic systems with Markovian-Switching described by the BDSDEs with Markov Chains and obtain the unique optimal control for the stochastic switching LQ problems.
Keywords :
Markov processes; differential equations; linear quadratic control; stochastic systems; Markov chains; Markovian-switching LQ problem; backward doubly stochastic system; backward stochastic differential equation; optimal control; stochastic switching LQ problem; Equations; Markov processes; Optimal control; Stochastic systems; Switches; Yttrium; BDSDEs; Markov Chain; Markovian Switching; Stochastic LQ problem;
Conference_Titel :
Control Conference (CCC), 2011 30th Chinese
Conference_Location :
Yantai
Print_ISBN :
978-1-4577-0677-6
Electronic_ISBN :
1934-1768
